Zinoviy Landsman

University of Haifa, Department of Statistics

Professor

Haifa, 31905

Israel

http://stat.haifa.ac.il/~landsman

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 30,430

SSRN RANKINGS

Top 30,430

in Total Papers Downloads

2,036

SSRN CITATIONS
Rank 19,017

SSRN RANKINGS

Top 19,017

in Total Papers Citations

19

CROSSREF CITATIONS

37

Scholarly Papers (22)

1.

Tail Conditional Expectations for Generalized Skew — Elliptical Distributions

Number of pages: 24 Posted: 26 Jul 2013
Zinoviy Landsman, Udi Makov and Tomer Shushi
University of Haifa, Department of Statistics, University of Haifa - Department of Statistics and Ben-Gurion University of the Negev - Department of Business Administration
Downloads 333 (114,430)
Citation 22

Abstract:

Loading...

2.

A Note on Stein's Lemma for Multivariate Elliptical Distributions

Journal of Statistical Planning and Inference, Forthcoming
Number of pages: 11 Posted: 03 Jun 2013 Last Revised: 06 Nov 2014
Zinoviy Landsman, Steven Vanduffel and Jing Yao
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 202 (188,956)

Abstract:

Loading...

Conditional distribution, Covariance, Regression

3.

Turning an Asset-Liability Problem into an Investment Portfolio Problem

Number of pages: 8 Posted: 15 May 2012 Last Revised: 18 Jun 2012
Yaniv Zaks and Zinoviy Landsman
Zaks Finance and University of Haifa, Department of Statistics
Downloads 202 (188,956)

Abstract:

Loading...

portfolio selection, asset-liability management, capital allocation, Markowitz model, quadratic optimization

4.

Translation-Invariant and Positive-Homogeneous Risk Measures and Optimal Portfolio Management

Number of pages: 23 Posted: 11 Dec 2009
Zinoviy Landsman
University of Haifa, Department of Statistics
Downloads 169 (221,106)

Abstract:

Loading...

5.

Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks

ASTIN Bulletin 38(2), 601 - 619.
Number of pages: 20 Posted: 02 Sep 2008 Last Revised: 24 Mar 2009
Edward Furman and Zinoviy Landsman
York University - Department of Mathematics and Statistics and University of Haifa, Department of Statistics
Downloads 163 (227,901)

Abstract:

Loading...

Economic capital allocations, tail conditional expectation risk measure, multivariate non-negative dependent risks, multivariate Tweedie distributions, multivariate compound Poisson distributions

6.

Multivariate Tweedie Distributions and Some Related Capital-at-Risk Analysis

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 30 Posted: 29 Jul 2010
Edward Furman and Zinoviy Landsman
York University - Department of Mathematics and Statistics and University of Haifa, Department of Statistics
Downloads 123 (284,895)

Abstract:

Loading...

Exponential dispersion models, multivariate Tweedie family, Cauchy’s functional equations, risk capital allocations, the tail conditional expectation risk measure

7.

Lifetime Dependence Modelling Using a Truncated Multivariate Gamma Distribution

UNSW Australian School of Business Research Paper No. AIPAR 2012/3
Number of pages: 24 Posted: 02 Apr 2012 Last Revised: 26 Mar 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 117 (295,291)

Abstract:

Loading...

Systematic Longevity Risk, Dependence, Multivariate Gamma, Lifetime Distribution, Annuity Valuation

8.

Stochastic Ordering of Bivariate Elliptical Distributions

The final version of this article appeared as: Landsman Z., A. Tsanakas (2006), ''Stochastic ordering of bivariate elliptical distributions'', Statistics and Probability Letters, 76, p.488-494.
Number of pages: 14 Posted: 13 Aug 2007 Last Revised: 03 Jan 2014
Zinoviy Landsman and Andreas Tsanakas
University of Haifa, Department of Statistics and The Business School (formerly Cass), City, University of London
Downloads 114 (300,723)

Abstract:

Loading...

Elliptical distributions, convex order, concordance order, dependence, risk management

9.

Parameter Uncertainty in Exponential Family Tail Estimation

The final version of this article has appeared as: Landsman Z, Tsanakas, A. (2012), 'Parameter uncertainty in exponential family tail estimation', ASTIN Bulletin, 42(1), p.123 - 152.
Number of pages: 34 Posted: 29 Jun 2011 Last Revised: 03 Jan 2014
Zinoviy Landsman and Andreas Tsanakas
University of Haifa, Department of Statistics and The Business School (formerly Cass), City, University of London
Downloads 112 (304,529)
Citation 1

Abstract:

Loading...

reinsurance pricing, VAR, parameter uncertainty, bias, bootstrap, exponential families

10.

Multivariate Tweedie Lifetimes: The Impact of Dependence

UNSW Australian School of Business Research Paper No. 2013ACTL12
Number of pages: 25 Posted: 09 Apr 2013 Last Revised: 07 May 2013
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 77 (386,013)

Abstract:

Loading...

systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution

11.

Bounds for Some General Sums of Random Variables

Statistics & Probability Letters, Vol. 81, No. 3, pp. 382-391, March 2011
Number of pages: 16 Posted: 12 Jun 2011
Steven Vanduffel and Zinoviy Landsman
Vrije Universiteit Brussel (VUB) and University of Haifa, Department of Statistics
Downloads 69 (410,156)
Citation 1

Abstract:

Loading...

Bounds, Dependence, Exponential Dispersion Family

12.

Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family

Number of pages: 28 Posted: 04 Oct 2017
Katja Ignatieva, Katja Ignatieva and Zinoviy Landsman
University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads 60 (440,563)
Citation 2

Abstract:

Loading...

Tail Conditional Expectation, Skewed Generalised Hyperbolic Distributions, Conditional Tail Risk Measures

13.

Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family

UNSW Business School Research Paper No. 2015ACTL07
Number of pages: 28 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
Katja Ignatieva, Katja Ignatieva and Zinoviy Landsman
University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads 53 (466,566)
Citation 1

Abstract:

Loading...

Tail value-at-risk, tail conditional expectation, tail variance premium, generalised hyperbolic distributions

14.

The Tail Stein's Identity with Actuarial Applications

Number of pages: 16 Posted: 17 May 2016
Zinoviy Landsman and Emiliano A. Valdez
University of Haifa, Department of Statistics and University of Connecticut - Department of Mathematics
Downloads 49 (482,736)

Abstract:

Loading...

Stein's Lemma, Tail Conditional Moments, Exponential Family, Pearson Distributions, Recursive Formulas

15.

A Multivariate Tail Covariance Measure for Elliptical Distributions

Number of pages: 27 Posted: 12 Feb 2018
Zinoviy Landsman, Udi Makov and Tomer Shushi
University of Haifa, Department of Statistics, University of Haifa - Department of Statistics and Ben-Gurion University of the Negev - Department of Business Administration
Downloads 40 (522,963)

Abstract:

Loading...

Elliptical distributions; Multivariate risk measures; Multivariate tail conditional expectation; Tail variance

16.

A Multivariate Tweedie Lifetime Model: Censoring and Truncation

UNSW Business School Research Paper No. 2015ACTL01
Number of pages: 27 Posted: 17 Jan 2015
Daniel H. Alai, Zinoviy Landsman and Michael Sherris
University of Kent, University of Haifa, Department of Statistics and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 35 (548,077)

Abstract:

Loading...

systematic longevity risk, dependence, multivariate Tweedie, lifetime distribution, censoring, truncation

17.

A New Class of Generalised Hyper-Elliptical Distributions and Their Applications in Computing Conditional Tail Risk Measures

Number of pages: 42 Posted: 03 Mar 2021
Katja Ignatieva, Katja Ignatieva and Zinoviy Landsman
University of New South Wales (UNSW)University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads 27 (593,762)

Abstract:

Loading...

Tail Conditional Expectation, Generalized Hyper-Elliptical (Ghe) Distributions, Conditional Tail Risk Measures, Generalized Inverse Gaussian Distribution, Portfolio Allocation

18.

Bayesian Log-Bilinear Mortality Projection with a Random Walk with Drift

Number of pages: 35 Posted: 22 May 2019
Vered Shapovalov, Zinoviy Landsman and Udi Makov
University of Haifa - Department of Statistics, University of Haifa, Department of Statistics and University of Haifa - Department of Statistics
Downloads 25 (606,772)

Abstract:

Loading...

Bayesian, Lee-Carter methodology, Mortality forecasting, Gibbs sampling, Change-points model, Random walk with drift

19.

Some Stein-Type Inequalities for Multivariate Elliptical Distributions and Applications

Statistics and Probability Letters, Forthcoming
Number of pages: 14 Posted: 06 Nov 2014
Zinoviy Landsman, Steven Vanduffel and Jing Yao
University of Haifa, Department of Statistics, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 22 (627,297)
Citation 1

Abstract:

Loading...

Stein’s lemma, Stein-type inequality, multivariate elliptical distribution, inadmissibility, Chernoff-type inequality

20.

A LC Model With Change-Points Regime

Number of pages: 31 Posted: 03 Feb 2019
Vered Shapovalov, Zinoviy Landsman and Udi Makov
University of Haifa - Department of Statistics, University of Haifa, Department of Statistics and University of Haifa - Department of Statistics
Downloads 21 (634,364)
Citation 1

Abstract:

Loading...

Bayesian; Lee Carter Methodology; Mortality Forecasting; Gibbs Sampling; Change-Points Model; Poisson Regression

21.

Exchangeable Mortality Projection

Number of pages: 29 Posted: 23 Sep 2019
Vered Shapovalov, Zinoviy Landsman and Udi Makov
University of Haifa - Department of Statistics, University of Haifa, Department of Statistics and University of Haifa - Department of Statistics
Downloads 13 (693,113)

Abstract:

Loading...

Bayesian; Lee–Carter methodology; Mortality forecasting; Optimal calibration period; multi-population model; Validation-based approach

22.

On the Generalization of Stein's Lemma for Elliptical Class of Distributions

Science Direct Working Paper No S1574-0358(04)71127-2
Number of pages: 14 Posted: 29 May 2018
Zinoviy Landsman
University of Haifa, Department of Statistics
Downloads 10 (716,547)

Abstract:

Loading...

Stein’s lemma, Elliptical family, Cumulative generator, Associate distribution